First of all to answer your question directly: Yes, to some readers – like your friend – it will break immersion. This doesn't mean it will break immersion for everyone, nor does it mean that it's necessarily a bad choice to use these types of names, but for some people it will just cause frustration that takes them out of the story.
- Everyone will to various extents appreciate names that fit the world you build
- Some will get distracted each time they encounter a name they can't pronounce
Approach A: Nicknames
Introduce a character who has trouble pronouncing the name and gives the character a simpler nickname.
"I am duchess Mrstttkya Sjshya, it's a pleasure to meat you" "Thank you, duchess Sj... Sje..." The Duchess sighed and interrupted "I understand it's hard to pronounce for your people, 'Duchess Sasha' will do just fine"
This works particularly well when you have a foreign main character or the main character encounters foreign characters.
Approach B: Hand holding
Accept that it will be distracting for some readers, but try to make it as easy as possible for them by extremely clearly explaining how it should be pronounced. In Harry Potter and the Goblet of Fire you find a somewhat similar setup to Approach A, but instead of going with a nickname the character in question explains how the name should be pronounced:
Hermione was now teaching Krum to say her name properly; he kept calling her ‘Hermy-own’.
‘Her – my – oh – nee,’ she said, slowly and clearly.
‘Herm – own – ninny.’
‘Close enough,’ she said, catching Harry’s eye and grinning.
In high fantasy especially this is sometimes skipped entirely and footnotes or other complementary text is used to explain the correct pronunciation.
Approach C: Minimize name use
Give each character a proper complex name, but whenever possible use different terms to refer to the characters. One book I read was written in first person where the main character was alone in a survival situation for two thirds of the book and his name (which was ridiculously long even for fantasy/sci-fi standards) only came up three or four times.
Approach D: Hide behind the translation
Typically when in a situation where foreign names come up we are talking about stories taking place in foreign cultures entirely (cases where approach A isn't an option). In those cases there is typically the assumption that those characters are not speaking English, yet the story you are reading is written in English.
The same can apply to names. Some authors will make this explicit such as Tolkien:
To their man-children they usually gave names that had no meaning at all in their daily language; and some of their women's names were similar. Of this kind are Bilbo, Bungo, Polo, Lotho, Tanta, Nina, and so on. There are many inevitable but accidental resemblances to names we now have or know: for instance Otho, Odo, Drogo, Dora, Cora, and the like. These names I have retained, though I have usually anglicized them by altering their endings, since in Hobbit-names a was a masculine ending, and o and e were feminine.
Whilst others will leave it implicitly. Anyway, the point is, according to Tolkien's mythos Bilbo Baggins was actually called Bilba Baggins, but that doesn't mean that it's necessarily the right decision to write that in your book. In the case of Bilba the problem was that it sounds feminine rather than pronunciation issues, but the approach can still stand.
What approach works the best of you depends a lot on your setting and genre. In high fantasy the expectations of the reader and the investments the reader is willing to make are very different from a young adult fiction novel. Still the most important advice I can give is to have people read your novel before publishing it and listening to their feedback.